4th Workshop on ‘Financial Determinants of Exchange Rates’

Programme

WEDNESDAY, 17 DECEMBER 2014

Welcoming Remarks by Jan Sijbrand (Executive Board Member of De Nederlandsche Bank) 


SESSION I: Exchange Rate Forecasting
 
Chair: Maarten Gelderman (De Nederlandsche Bank)

Andreas Schrimpf (Bank for International Settlements): 
‘Currency Value’
Discussant: Gabriele Galati (De Nederlandsche Bank)
  
Pinho Ribeiro (University of Glasgow): 
‘Data-Based Evidence on Instabilities in Exchange Rate Predictability’
Discussant: John Hydeskov (Nordea)

Keynote Address on forecasting exchange rates: 
Barbara Rossi (University Pompeu Fabra) 
Introduction by: Maarten Gelderman (De Nederlandsche Bank)

Dagfinn Rime (BI Norwegian Business School): 
‘Understanding Exchange Rates Across Frequencies’  
Discussant: Gabriele Zinna (Bank of Italy)

Marcello Pericoli (Bank of Italy): 
‘Individual Heterogeneity, Surprises and Financial Markets’ 
Discussant: Jon Frost (De Nederlandsche Bank)

THURSDAY, 18 DECEMBER 2014

 
SESSION II: Policy interventions and announcements
 
Chair: Gabriele Galati (De Nederlandsche Bank)
  
Rahel Studer-Suter (University of Zurich):
‘The Swiss franc’s Honeymoon’ 
Discussant: Richhild Moessner (Bank for International Settlements)

Paolo Porchia (IE Business School): 
‘Policy Announcements in FX Markets’ 
Discussant: Fabio Fornari (European Central Bank)

Keynote Address on exchange rate manipulation 
Rosa Abrantes-Metz (Global Economics/ New York University)
Introduction by: Gabriele Galati (De Nederlandsche Bank)

Policy Panel : "Foreign exchange rate manipulation: Threats and Solutions"
- Rosa Abrantes-Metz (Global Economics/New York University)
- Michael Melvin (Blackrock)
- David Woolcock (Eurobase Banking Solutions)
- Steven Englander (Citi)
Chair: Gabriele Galati (De Nederlandsche Bank)
 
SESSION III: Carry trade and currency risk hedging
 
Chair: Alessio Anzuini (Bank of Italy)

Michael Melvin (BlackRock): 
‘When Carry Goes Bad: the when, how, and why of currency carry unwinds’ 
Discussant: Wenna Lu (Cardiff Metropolitan University)

Esther Eiling (University of Toronto): 
‘Currency Risk Hedging: No Free Lunch’
Discussant: Karen Mayhew (Bank of England)

Oliver Hossfeld (Deutsche Bundesbank, Leipzig Graduate School of Management): 
‘Carry Funding and Safe Haven Currencies: A Threshold Regression Approach’ 
Discussant: Federico Nucera (LUISS Guido Carli University)

Matthias Gubler (Swiss National Bank):
‘Carry Trade Activities:  A Multivariate Threshold Model Analysis’ 
Discussant: Saskia ter Ellen (Norges Bank)